Gilligan claims Jesse gets away clean without any legal issues. His connection to Walt was through Hank and Steve Gomez in an off-the-book investigation so law enforcement isn't aware of the connection. They are both dead, so Jesse isn't implicated.

I don't think Skylar would blame him for this mess, as she probably realizes that he was Walt's pawn and Jesse is definitely aware of Skylar's involvement and complicity, so it would be mutually assured destruction and she would lose her baby. Marie knows that Jesse was helping Hank to nail Walt, so I don't think she would rat him out.

Now mentally, he is completely fucked and may never recover.